Stochastic programming models: Wait-and-see versus here-and-now

MaRDI QIDQ4428685zbMATH OpenFDO

Authors Roger J.-B. Wets

Publication date 22 September 2003

zbMATH Keywords

newsboy problemportfolio selectionstandard programmingstochastic programming

Mathematics Subject Classification ID

Stochastic programming (90C15) Applications of mathematical programming (90C90)

Review text

Practical problems of Stochastic Programming (SP) can be tackled by using a wait-and-see (w\&s) or a here-and-now (h\&n) strategy. The behavior of them is discussed in this paper through well-known problems as the newsboy, portfolio selection, expansion of a network pollution control, etc. The problems are presented and the corresponding SP Problems are discussed. The decision making derived from each strategy is analyzed. W\&s problems appear as a less complicated approach than \(h\&n\) because the integral and the \(min\) operators are exchangeable. Two theorems fix the measurability of the optimal value and the solution and an interchange criterion. The optimal conditions gave clues that sustain the effectiveness of the Progressive Hedging Algorithm [see \textit{R. T. Rockafellar} and \textit{R. J. B. Wets}, Math Oper. Res. 16, 119-147 (1991; Zbl 0729.90067)]. For the entire collection see [Zbl 0990.00072].

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